发明名称 |
System and method for providing optimization of a financial portfolio using a parametric leptokurtic distribution |
摘要 |
A system and method for providing optimization of a financial portfolio using a parametric leptokurtic distribution is presented. One or more risk factors associated with a plurality of financial assets maintained in a portfolio and applicable over at least one time horizon are provided. A subordinated parametric distribution model having leptokurtic behaviors is specified for the risk factors with a measurement of risk expressed as a function of expected tail loss for a significance level or quantile. The subordinated distribution model is applied at each such time horizon to determine a distribution of the risk factors for the financial assets. Portfolio weights providing a substantially maximum risk adjusted return for the portfolio are determined.
|
申请公布号 |
US2005033679(A1) |
申请公布日期 |
2005.02.10 |
申请号 |
US20040888414 |
申请日期 |
2004.07.09 |
申请人 |
RACHEV SVETLOZAR TODOROV;RACHEVA-IOTOVA BORYANA SVETLOZAROVA;STOYANOV STOYAN VESELINOV;MARTIN RICHARD DOUGLAS |
发明人 |
RACHEV SVETLOZAR TODOROV;RACHEVA-IOTOVA BORYANA SVETLOZAROVA;STOYANOV STOYAN VESELINOV;MARTIN RICHARD DOUGLAS |
分类号 |
G06F;(IPC1-7):G06F17/60 |
主分类号 |
G06F |
代理机构 |
|
代理人 |
|
主权项 |
|
地址 |
|